Basel’s CDO solution
Today, securitisation continues to grow apace, encouraged by the extra oxygen of derivatives-based synthetic securitisation technology. Product complexity is also increasing rapidly. And so it was perhaps inevitable that the Basel II endgame would reduce to the issue of capital treatment for securitisations.
Last October, the Committee issued a working paper proposing a new supervisory formula approach to securitisation. In the first of this month’s Cutting Edge papers (view article), Michael
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